I guess you want to know why deciding the question "Given a string w. Does the automaton accept or reject w?" can be done in linear time?
Suppose w=a_1...a_n. Start in the initial state q_0 and apply the transition \delta(q_0, a_1) = q_1, which brings you to q_1. Now, repeat this n times untill you processed the last letter. That's a linear time algorithm ;)